proplev_calc: Proportional Leverage
In antshi/auxPort: Auxiliary functions for portfolio optimization
Description
Usage
Arguments
Value
Examples
Description
Calculates the proportional leverage (
Usage
1
Arguments
weights
a numerical nxp data matrix with portfolio weights.
Value
a double, the proportional leverage over the specified observation period.
Examples
1
2
3
set.seed(1234)
naive_port <- matrix(runif(200, 0, 1), 20, 10)
turnover <- proplev_calc(naive_port)
antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.
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Description Usage Arguments Value Examples
Description
Calculates the proportional leverage (
Usage
1 |
Arguments
weights |
a numerical nxp data matrix with portfolio weights. |
Value
a double, the proportional leverage over the specified observation period.
Examples
1 2 3 | set.seed(1234)
naive_port <- matrix(runif(200, 0, 1), 20, 10)
turnover <- proplev_calc(naive_port)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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